In what was an entertaining West Midlands derby, the Saddlers missed a host of chances to grab the points.
Josh Ginnelly and George Dobson both saw strikes cleared off the line while Morgan Ferrier and Luke Leahy also missed golden opportunities.
Shrewsbury had their moments too with Liam Roberts making an excellent double save late on to deny Shaun Whalley and Ollie Norburn.
But it was Walsall who should have taken the points with Keates disappointed his side had dropped two points at home.
“I have no idea how the game stayed goalless,” the boss said.
“We’ve created chances but we need to be more ruthless, although, yet again, their keeper has pulled a few decent saves off.
“It’s fine margins and we are just falling short at the minute but it needs addressing.
“Liam made two decent saves from distance, we kept them to efforts from distance.
“We need to look at ourselves – we should have put them to the sword, we should have taken our chances.
“It’s frustrating. We will take the clean sheet out of it but, for us, it’s two points dropped.”
The result means Walsall are now winless in their last five outings at the Banks’s Stadium.
But while Keates admits they need to improve, he isn’t overly worried with his side seventh in the table and playing some good football.
“I wouldn’t say I’m worried, it’s a concern at the moment,” he continued.
“It’s still very early days and there are bits and pieces we need to work on.
“We had opportunities to get decent balls into the box and we’ve made the wrong decisions. “It’s something that needs addressing over the next few weeks.”
Walsall had to substitute Isaiah Osbourne in the second half when - after a drop ball - Anthony Grant fired the ball into his face of the midfielder.
The former Villa man was knocked out and required oxygen treatment on the pitch.
“Osbourne was knocked out,” Keates added.
“I think everybody who was here saw what the lad did and nothing got said about it.
“I don’t see the reason why he needs to take it out of his feet, open his body up and kick it totally the opposite way it was supposed to go.
“But look, who am I to speak about the referees?”